Historical Data for Algorithmic Trading

Algorithmic trading doesn’t make much sense unless you have access to accurate data for backtesting your system ideas. In fact, “data” is the biggest asset for any systematic trader.

This is how it works:

Step 1: You come up with the system rules

Step 2: You code those rules in software (like Amibroker)

Step 3: The rules are backtested against historical data to see whether it works

As you can see, step 3 requires access to historical data to validate the system

Howsoever important the data is, yet it is extremely difficult to acquire it. Exchanges sell the data for a hefty price tag which is unaffordable for retail traders. And there are other small data vendors who offer it relatively cheaper but they aren’t reliable.

Introducing "Historical Data for Algorithmic Trading", a one-stop shop for stock market data. Get instant access to EOD as well as Intraday price data for 150000~ symbols from 40+ stock exchanges. And on top of that, you’ll also get fundamental data for these symbols.

Read on to know more...

Data Sources

We have aggregated data from two sources. Both of these data sources are quite popular among traders across the globe

Data source 1 provides price (OHLCV) as well as fundamental data for 35+ exchanges. While Data source 2 only provides price data for 9 exchanges. There is some overlap between both sources.

While we prefer Data source 1 for testing all our internal projects, you can evaluate both and pick the one at your discretion.

You’ll have data from both sources at your disposal.

Note - Data Source 2 has been deprecated effective Jan 2022. While you'll still get historical data prior to this date, any new data won't be available due to some consistency issues

Data Format

There is only one format we support and that is CSV (comma-separated values). The data is organized as CSV files into different folders (based on exchange and type).

These CSV files can be readily imported into any charting or backtesting tool.

Sample EOD Data File

Sample Intraday Data File

There would be 1 file per symbol per timeframe.

Note - The extension of the file may not be CSV always but when you open it you’ll see comma-separated values with a header.

Data Timeframe

We support both the Intraday and EOD timeframe.

Data source 1 contains price data in EOD as well as 1-minute timeframe. And data source 2 contains price data in EOD and a 5-minute timeframe.

This can be converted into higher timeframes in your charting tools (like Amibroker). For example, EOD data can be converted into weekly, and 1-minute data can be converted into 15 minutes quite easily.

Data Range

In most of the cases, EOD data is available since the listing date of the symbol in the exchange. This might span for several years.

While Intraday data is available since the start of 2021.

Exchanges and Symbols

We support 40+ exchanges across several different countries. Data is available for Equity, ETF, or Index symbols from these exchanges. Fundamental data is available only for equity symbols.

At the moment, we have data for 150000~ symbols in total. The number keeps changing based on whether new symbols are added or existing ones get de-listed.

Check the details of exchanges and symbols in this spreadsheet.

Refresh Frequency

The price data is refreshed on a daily basis while fundamental data is refreshed on a weekly basis.

There isn’t any fixed timing of refresh as of now as it depends on the completion of the previous refresh.

You may look at the timestamp of the files to find out when it was refreshed last.

Accuracy

The data is highly accurate and can be used for chart analysis or backtesting purposes.

The data is delivered “as-is” how it is retrieved from the source. There isn’t any transformation that we do on the source data.

There might be a few off cases where you might find discrepancies in terms of missing data, but usually, they get rectified during subsequent refreshes.

How is the Data Delivered?

Data will be delivered via Google Drive. It is organized in several folders in the drive and you’ll get read-only access to the drive once you subscribe.

After getting access, you may download the files to your computer OR use a synch tool to continuously sync the files from Google Drive to your local computer.

The files in the drive get refreshed on a daily basis

Samples

Download the sample files from the below links:

EOD Sample - NYSE.IBM

1 Minute Sample - NSE.HINDUNILVR

5 Minute Sample - WSE.AMC

Fundamental Sample - LONDON.HSBA

Disclaimer

The primary usage of this data is for educational and research purposes only. We are not the owners of data, rather we only perform aggregation from the original sources. You should use it at your own discretion and we won’t be responsible for any profit or loss arising from it. The accuracy and timeliness of the data is not under our control but we’ll do our best to maintain the overall quality.